>>It's OLE DB provider level setting and it affects all linked servers that use the provider.
>
>Yes, but I am wondering why this setting is OFF. Because, if we want to link to VFP like that, it's probably because we want to read some data.

It controls if provider runs as in-process server or outside the SQL Server process. Instantiating the provider outside the SQL Server process (default) protects the SQL Server process from errors in the provider.